Why Futures Records Can Extend Beyond a Contract’s Trading Life
Summary
The document asks why historical price records for a specific Hang Seng futures delivery month appear to continue after the contract’s settlement date, and why a contract may have records far earlier than a trader expects. The response explains that listed contracts can begin trading well before their delivery month. It also notes that exchanges may publish daily settlement values on days when a contract has no trades, so a price record does not necessarily indicate active trading.
The answer gives the June 2023 contract as an example, describing its listing, first reported trade, and final trading date under the exchange’s rule. It says there should be no trades after the last trading date and suggests that the apparent later records may be an error in the displayed data. The question also raises the possibility of nearby or rollover series, but the response does not establish that this explains the records. The account is specific to the cited contract and data source, so users should check contract specifications and distinguish settlement records from actual trades.
Key ideas
- A futures delivery month can be listed well before its contract month.
- An exchange may provide settlement values on days with no trades.
- The last trading date is determined by the contract’s specifications.
- Records appearing after the last trading date may reflect a data error, according to the answer.
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Full text
# Why historical data of futures contract price include data after settlement date of the contracts? # Why historical data of futures contract price include data after settlement date of the contracts? I am studying historical data of futures contract prices. I found there are price data after the settlement date of the contract. For example, for Hang Seng Futures with expiry date of Jun, there are still price data records in investing.com: I know there could be some roll over, but isn't that being price reocord of new contracts? Why it is the case? Also, I found for the future contract of Jun, the price data records include data for many years ago, but did the contracts start so long ago? Or is that sort of price record methods such as nearbys? ## Answer by Richard at NorgateData (score 2) https://quant.stackexchange.com/a/77301 The Hang Seng futures June 2023 contract started trading on 13 June 2022. When no trading occurs, the exchange provides a daily settlement value. The first real trade occurred on 12 Aug 2022 (daily volume was 220). The last trading date for Hang Seng futures is defined as "The business day immediately preceding the last business day of the contract month" which is Thursday 29 June 2023. Some contract deliveries months are listed way ahead of time - for example, as at 8 Nov 2023, there is a Dec 2028 contract listed. It has zero volume and open interest right now though. By definition, there are no trades after the last trading data, so I think that the screenshot is erroneous. Contract specs: https://www.hkex.com.hk/Products/Listed-Derivatives/Equity-Index/Hang-Seng-Index-(HSI)/Hang-Seng-Index-Futures?sc_lang=en#&product=HSI Data source: Norgate Data https://norgatedata.com/ Full disclosure: I am a co-owner of Norgate Data, a futures data vendor.
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